【作者】 廉小虎；

【导师】 姜铁兵；

【作者基本信息】 华中科技大学 ， 系统分析与集成， 2006， 博士

【摘要】 随着我国市场经济的发展,电力市场改革的不断深入,我国将来电能交易将以合约交易为主、现货交易为辅,适时进行期货交易,电能将会成为期货交易品种,因此加强对电力期货理论进行研究也就显得尤为迫切。本学位论文主要针对电力期货交易的特点和规律,应用系统理论、灰色理论和统计学理论,对电力期货市场的交易模式、期货价格的预测方法展开了深入的讨论,并系统地阐述了我国电力市场风险管理的对策,对电力市场中的期货交易风险进行了定性和定量评估。全文主要创新工作如下:1、阐述了电力市场的概念和模式,评述了国内外电力市场及其理论的发展历史和研究现状,分析了现有的几种交易模式,构建了一种新的加入期货交易的、期货与现货市场相结合的新型电力商品交易模式。2、在讨论了多种电价预测方法的基础上,利用灰色理论的思想,提出了一种对GM(1,1)模型的改进方法,建立了改进等维新息GM(1,1)预测模型,通过对实际期货价格进行测试,实验结果显示达到了提高预测精度的目的。3、尝试将贝叶斯理论应用于电力期货市场电价预测,通过对不同阶次贝叶斯回归预测模型的误差进行计算、比较,确定模型的最佳阶次,再将合适阶次的贝叶斯回归预测模型应用于Nordpool电力期货市场实际价格预测,取得了较满意的效果。4、在系统介绍我国电力市场中的风险识别、管理对策的基础上,结合电力市场期货交易的风险概念,通过案例对电力市场期货交易中套期保值的避险机理进行研究。并对电力期货市场的风险进行评估,给出了电力市场期货交易风险的数学模型。最后,对本论文的工作做了总结,并提出了有待进一步研究的问题。更多还原

【Abstract】 With the development of market economy and the more deeply reform of electric power market in our country, the electric power transaction will focus on the agreement bargaining with the supplement of the spot transactions, timely, will proceed time-bargain. And the electric power will become a type of time-bargain merchandise in the future, so it is urgent to testify and develop the theory of time-bargain of the electricity power. This thesis aims at the characters and disciplinarians of the electric power’s time-bargain, which adopts the grey system theory and the statistics theory to have a deep discuss on the trading mode of the electric power market and the prediction method of futures’price. The thesis elaborates the countermeasure of the risk management in electric power market of our country systematically. And the mathematical model of the risk evaluation in the time-bargain of power market has been given. It includes:1. The conception and mode of electric power market has been introduced. The thesis describes the development history and present research of electric power market and its theory at home and abroad. And it analyzes several existing trading modes, and constructs a new trading mode on electricity power which includes the combine of futures and spot trading.2. Based on the introduction of several methods of price forecasting, by adopting the grey model theory, the thesis brings up one improved method to GM(1,1) model and establishes ameliorated Equal-dimension-new-information GM(1,1) model. After a test for the price of real time-bargain,a good result is obtained showing the improvement of the forecasting precision.3. Try to apply Bayes theory in forecasting the time-bargain market price of electric power market, by the calculation and comparing of the error of different order’s Bayes Regress forecasting model, the thesis determines the most accommodated order. And then, the thesis applies Bayes Regress forecasting model of the appropriate order in the real price of the Nordpool time-bargain market, and obtains a good result at last.4. Based on the systematical introduction of the risk identifications and management countermeasure in electric power market, the thesis combines the risk conception in time-bargain of electric power market. Except for those, the thesis which has do research on the avoiding risk of hedging in time-bargain of electric power market by instances, gives a risk evaluation in electricity future market, and the mathematical model of the risk evaluation in time-bargain of electric power market has been given.At last, the summary is given on the basis of the discussion in this thesis and then some suggestions for further study are offered.更多还原